Narrow search
Showing 1 - 10 of 10,710
Cover Image
Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - Deutsche Bundesbank - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10008595896
Cover Image
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
Kristensen, Dennis; Mele, Antonio - In: Journal of Financial Economics 102 (2011) 2, pp. 390-415
We develop a new approach to approximating asset prices in the context of continuous-time models. For any pricing model that lacks a closed-form solution, we provide a closed-form approximate solution, which relies on the expansion of the intractable model around an “auxiliary” one. We...
Persistent link: https://www.econbiz.de/10011039202
Cover Image
Are investor sentiments priced by the CAPM?
Verma, Rahul; Soydemir, Gökçe - In: Journal of Financial Transformation 35 (2012), pp. 57-70
In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …
Persistent link: https://www.econbiz.de/10010991643
Cover Image
Portfolio Selection – A Technical Note
Martins, Ana Paula - Economics and Econometrics Research Institute (EERI) - 2012
This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...
Persistent link: https://www.econbiz.de/10010860050
Cover Image
Phase Transition in the S&P Stock Market
Raddant, Matthias; Wagner, Friedrich - Institut für Weltwirtschaft (IfW) - 2013
We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...
Persistent link: https://www.econbiz.de/10010886861
Cover Image
A Class of Models satisfying a Dynamical Version of the CAPM
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10010905244
Cover Image
Yes, the CAPM is testable
Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42
It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …
Persistent link: https://www.econbiz.de/10010907096
Cover Image
Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?
Auer, Benjamin R. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 5, pp. 518-544
factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can … models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best …
Persistent link: https://www.econbiz.de/10010907944
Cover Image
Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application
McDonald, James B.; Michelfelder, Richard A.; … - In: Multinational Finance Journal 13 (2009) 3-4, pp. 293-321
Robust estimation techniques based on symmetric probability distributions are often substituted for OLS to obtain efficient regression parameters with thick-tail distributed data. The empirical, simulation and theoretical results in this paper show that with skewed distributed data, symmetric...
Persistent link: https://www.econbiz.de/10010937085
Cover Image
Estimating the Cost of Equity and Equity Risk-Premia of Canadian Firms
Athanassakos, George - In: Multinational Finance Journal 1 (1997) 3, pp. 229-254
This article proposes an alternative approach to estimating the required rate of return on equity, combining the bond-plus risk-premium approach and the Capital Asset Pricing Model, and tests it using Canadian data. Individual stock risk-premia are classified into groups according to the point...
Persistent link: https://www.econbiz.de/10010937139